Rendering single .exr from passes with different shaders?
The first tutorial lists a number of different shaders that may have their own render pass. Cycles doesn't separate the render result based on the shader used, cycles uses node based materials that can combine many different shader types to get the final result.

In cycles the passes that are available will each contain a portion of the scene that when combined makes the final image (or render layer). The way that the passes are combined is shown in the manual and has been explained in a few video tutorials. If an object's material has only a diffuse node then all the information for the object will be in the diffuse pass. If it has a mix of diffuse and glossy then it will have information on both the diffuse pass and the glossy pass that when combined give the final appearance of the object. When saving a render to an OpenEXR Multilayer file, each render layer and it's passes will each be saved as a layer in the one file.

The second tutorial you linked to talks about creating object masks and combining them into one OpenEXR file. We have a few options to perform a similar task. Every object can have an ObjectID and every material can have a MaterialID. These ID's can be used by an IDMask node to get a mask matching the object/s or material/s with the same ID. We can also assign a single material to a render layer that makes every object visible on the layer render using the same material.

When using the compositor we have the option of adding a File Output node. If an OpenEXR Multilayer format is used for the file output then we can add as many layers as we want and choose what goes into each layer, that may be a direct render pass result, an edited and combined result or even object masks. When other file formats are chosen each input will be saved to a separate image file.